Depends, really. If the episode's news segment is mostly about PC gaming, I'll use iTunes, since I then listen to the whole thing. If it's mostly console news, I download the MP3 so I can use the segment timing from the announcement to skip past the news. (If there's no news segment, like this last episode, which I still need to get to listening to, I use iTunes too.)

At home I use Juice, at work I download with the browser. I listen to the podcast on my Samsung MP3-player while commuting or during my lunch break.

BTW: as everybody is always going on about how great and popular the Ipod is and I'm sick of hearing about it: just read in the paper yesterday that the market share in the USA is 78%, but only in two other contries (Japan and Australia) higher than 50%. Great satisfaction for me, because I think there are a lot of other MP3-players out there that are just as good or better than Ipods (how about listening to radio, recording stuff, deleting stuff) and there have been multimedia players around for years with much bigger screens than the video Ipod!

I use Juice to download it then listen to it on my Zen while catching the tube to/from work.

Totally off topic but I would be very surprised if the market share of the iPod was below 50% in the UK, everybody seems to have them (yes myself included, although its an old 3G one which has recently been replaced by said Zen)